What`s New in Tradesignal 9.

TABLE OF CONTENTS.

• Backtesting.
• Point & Figure.
• Indicators.
• Formula Symbols.
• User Interface.
• Using  Python in Equilla.

1. BACKTESTING.

1.1. Intrabar Backtesting.

One of Tradesignal`s core features is the backtest function. The more precise the backtest, the higher its informative value. In order to calculate realistic results, the software now includes intrabar backtesting, which means that a “look inside the bar” is carried out to find more accurate fill prices for historical trades generated by a strategy. Whatever time frame you use for your backtest, you can now use lower period data for the backtest calculation.

For example, if you backtest daily or weekly bars, you can now select lower time frames like hourly, one minute or even ticks, to be used calculation. In this way the highest possible precision can be achieved during the backtest.

This essential feature avoids errors in backtesting caused by gaps and missed signals in higher timeframes. By looking inside the bar regardless of the timeframe, all signals regardless of when they are given are captured and the analysis is markedly more robust.

To activate this feature, please select the desired period in the property inspector.
See: Money Management > General > Intrabar Backtesting.

Figure 01: Intrabar Backtesting Feature.

• Available periods include: tick, 1 minute, 5 minutes, hourly and daily.
• Backtesting will only begin at the point where there is sufficient historic data available for both the original and lower period data set.
• Information on when and how an order is executed (e.g. a market, stop or limit order) can be found directly in the online help of the software under the keyword “order processing”.

Practical Example.

Let`s assume we would like to backtest a trading strategy on a portfolio of stocks. As you can see on the figure below, the strategy uses weekly bars. On the left side, you can see the backtest results without intrabar backtesting.

As you know, large overnight gaps can occur in stocks, so it would be better to use intrabar backtesting to get more precise results. On the right side, we activated the intrabar function and set the period to “daily”. As you can see, the equity curve for the portfolio differs significantly from the standard backtest.

Figure 02: Standard Portfolio Backtest (left) vs. Intrabar Portfolio Backtest (right).

BY THE WAY: The equity curve subchart now visualises the range of data covered by the backtest, where this is less than the amount of visible data in the chart*. This is the case for the following figure: It shows a backtest on daily bars using a lower time frame for intrabar backtesting.

* The property HighlightBacktestingRange can be set to False, to disable this indication.

Figure 03: Intrabar Backtesting Feature.

1.2 Persistent Strategy Trades.

This innovative functionality gives you more flexibility when it comes to handling trades generated by a strategy. Specifically, historical trades generated when a strategy is first added to a chart, or subsequently added in real-time, will now be saved into the workspace until a user-specified action causes them to be regenerated. By default, historic trades will be regenerated any time the configuration, structure or properties of a chart or its contents change, as it did in prior versions of the application.

The main default differences are:

• Closing and reopening a workspace will no longer cause a regeneration of historical trades.
• Trades will only be generated from the point of opening onward, not from the point of time when the workspace was closed.
• The new order editor (which will be presented in the next chapter) can be used to manually manipulate and/or regenerate historic trades.

It is possible to configure which actions will cause an automatic full regeneration of historic trades. These options are available in the application settings. See: File > Options > Advanced >Strategy Orders. By default all of the available actions will trigger a full regeneration of historical trades.

Practical Example.

If you uncheck all options, then there will be no automatic regeneration of historical trades. This could be useful for the following task: Let`s say we ran a strategy for months and would like to change the parameters from now on without affecting the old trades (done with the previous parameter setting). Because we unchecked all options for the regeneration of historical trades, we can change the parameter of our strategy and it will only affect the following trades. Figure 5 shows an example for the EURUSD. The left part of the chart was traded with a different parameter setting then the right one.

Figure 04: Persistent Strategy Trades.

The same process could be used for switching from strategy A to strategy B.

1.3 Order Editor & Manual Strategy Trades.

The order editor is a new document that allows strategy orders (and the trades they generate) to be manipulated or deleted manually. You can also add additional orders which are not connected to a strategy in a comfortable manner. This new feature has clear benefits: You could enter the real price levels of trades you have executed and use all performance tools of Tradesignal.

To show the Order Editor for a chart or portfolio, first ensure the chart or portfolio is selected, then click on “Order Editor” on the toolbar.

Figure 05: Order Editor Button.

All historical strategy orders present will be displayed grouped by the instrument selected in the drop-down menu at the top of the editor window. The following figure shows the S&P 500 ETF with a Bollinger Band trading strategy. All executed trades can be found in the table below. Any orders generated in the future will automatically appear in the order editor table in real-time.

Figure 06: Order History in the Order Editor.

New orders may be added by selecting “Click here to add an order”:

Figure 07: Order History in the Order Editor.

If you would like to modify or delete an existing order, please click on the pencil icon or the “x” icon of the relevant trade:

Figure 08: Order History in the Order Editor.

Practical Example.

In the following example, we add a manual buy order to our existing orders from the Bollinger Band strategy presented earlier:

Figure 9: Order History in the Order Editor.

After we have entered this order, we confirm by hitting the “apply changes” button in the right corner of the table*. And here is the result: Our manual trade is now included in the order list and the trade has been added to the chart on the left (600 shares have been bought).

*Important notice: The application will show a warning if a workspace is closed without selecting “Apply Changes” when there are pending changes. If this warning is ignored and the close operation continues, all non-applied changes will be lost. The workspace will only be actually marked as “modified” when the changes are applied.

Figure 10: Manual order added via order editor.

As described in the chapter on persistent trades, the order editor is very flexible when it comes to controlling the calculation of strategy orders:

• Clicking the “Recalculate” button will delete and regenerate all strategy orders.
• To delete and regenerate from a specific order onward, please right-click on the order and select “Recalculate From” from the context menu.

1.4 DEFINING TRADING COSTS IN BACKTESTS.

Trading costs (commission, slippage) play an important part of precise backtesting. Handling these for different trading instruments and their respective lot sizes can be time-consuming. For that reason, Tradesignal 9 offers some new features which make it easier to handle trading costs in backtests.

Slippage Source property
In the money management section, you can find a new slippage source property. It enables you to define which source should be used for slippage calculation.

Figure 11: Slippage source function.

You can pick one of these options:

• None – Do not apply slippage to the backtest.
• Settings – Use the slippage values from the Money Management settings.
• Settings & Assets – (Default) Use the slippage value if set in the instrument assets or from the money management properties otherwise.

In order to use the last option, you can set up the slippage preference for each instrument. Please proceed as follows:

• Right-click the instrument name in the left corner of the chart
• Select Sessions > Properties
• Enter the slippage value (can be an absolute value per lot or a percentage)

Figure 12: Setting the slippage per lot for an underlying instrument.

Once you have defined your preferred slippage value here, you need not worry about this issue anymore, because in a backtest, this value will be used per default.

Per lot calculation of slippage and commission
The main difference of calculating costs per lot is that the value entered here will be multiplied by the lot size of the security, to calculate the equivalent slippage or commission per contract.

Example: A trading strategy applied to the German DAX future contract generates an average trade profit of 250 EUR per contract without costs. If you assume one DAX point (equals EUR 25) as slippage costs, you can enter this value in the field “slippage/lot”. You`ll notice that the average trade profit dropped by EUR 50 (EUR 25 per transaction) to 200 EUR.

In the same way, you can define the commission per lot value in the same section (see figure 11). Especially when working with portfolios, the new calculation method per lot makes it a lot easier to implement realistic costs into your backtests – without excessive difficulty.

1.5 Multiple Strategy Optimisation.

Tradesignal can now generate optimizer results whereby the strategies applied to the chart are selectively enabled and disabled in the same way as other parameters. Therefore, it is possible to compare the performance of different strategies in the same set of optimization results. To vary the strategy, add the “Active” property for each strategy in the optimization wizard, and select both “True” and “False” as possible values. For example, the five strategies seen in the following figure.

Figure 13: Optimizer Wizard.

After the optimization is complete, all permutations of the selected strategies will be included in the result set.

Figure 14: Optimizer results for multiple trading strategies.

A new column has been added called “Active Count” that contains the number of chart objects that were explicitly active during that run.

Figure 15: Filter function.

If you run a filter on this column, where the value equals one (see figure 15), you have a simple way to compare the results of exactly one of the selected strategies being active at a time.

Figure 16: Comparison of different singular results after multiple strategy optimisation.

1.6. Optimisation of Box and Brick Sizes for Point & Figure and Renko Charts.

Backtesting chart types like candlesticks is a simple job for many software products. If you ever tried to backtest special chart types like Point & Figure, Renko or Kagi, you know that it was not possible in the past. Tradesignal 9 now offers this function and enables strategy developers and traders to find out which chart settings – for example box or brick sizes and reversal properties – are profitable and robust. Using this new feature you can use the full potential of Point & Figure charts and Co.

Figure 17: Intrabar Backtesting Feature.

This powerful new feature will also optimise variables of any other optimizable parameter, such as within strategies, along with brick/box size and reversal properties.

2. POINT & FIGURE.

Point & Figure charts eliminate noise (minimum price fluctuations in sideways markets) and therefore can be a valuable analysis tool. Tradesignal 9 again expands the selection of technical indicators specially designed for this chart type. All four indicators have many parameters that can be set individually – a detailed description for each of them can be found in the help section of Tradesignal.

2.1 P&F Trends Indicator (PFTR).

This indicator draws 45 degree trend lines on Point & Figure charts. Trendlines on 3-box Reversal P&F charts are drawn at 45 degrees up and 135 degrees down. An ascending trend line is called a Bullish Support Line and a descending trendline is called a Bearish Resistance Line.

Figure 18: Point & Figure Trends Indicator.

2.2 P&F Horizontal Targets Indicator (PFHT).

This indicator draws price targets based on congestion patterns and associated breakouts in Point & Figure charts. The width of the resulting U-shape determines either a low or high price target[KW1]. The calculation of horizontal price targets is based on the width of congestion patterns. The number of columns yielding the congestion pattern determines the width which is then used as the starting point for the calculation:

Horizontal price target with congestion base and upside reversal breakout:
Basis + Width * Box Size * Reversal

Horizontal price target with congestion top and downside reversal breakout:
Basis – Width * Box Size * Reversal

Figure 19: Point & Figure Horizontal Targets Indicator.

Price targets may be used to confirm signals generated by other indicators or strategies, or to predict the stability of a trend. They are estimates based on P&F charting techniques with no guarantee of prices reaching the target.

2.3 P&F Vertical Targets Indicator (PFVT).

This new indicator draws price targets based on multi-top patterns in Point & Figure charts. The calculation of vertical price targets begins with the count column which forms the basis for an upside or downside target. Once this column has been identified, the vertical target is calculated as follows:

Vertical target for upside targets: Basis + Number of Boxes * Box Size * Reversal
Vertical target for downside targets: Basis – Number of Boxes * Box Size * Reversal

For both cases, the basis is defined as the low of an X column or the high of an O column[KW2].

Figure 20: Point & Figure Vertical Targets Indicator.

BY THE WAY: All Point & Figure indicators are highly customizable to your preferred settings and can also include an alert function.

Figure 21: Properties section for the P&F indicators.

2.4 P&F Volume Profile Indicator (PFPVP).

This indicator displays a histogram of market volume levels distributed according to the respective price levels. The indicator analyzes the columns for the set period and assigns the trading volume to up (grey) and down (red) days respectively. It displays a histogram of market volume levels distributed according to the respective price levels.

This indicator is used to find support and resistance levels in a Point & Figure chart based on the respective trading volume. The analysis facilitated by this indicator allows for predictions regarding the sustainability of chart marks.

Figure 22: Point & Figure Volume Profile Indicator.

2.4 New Point & Figure functions in Equilla.

Besides the new P&F indicators, Tradesignal 9 also brings a multitude of new Equilla functions. By implementing such prebuilt functions into your Equilla code, you can start creating new indicators or trading strategies without having to program 31 patterns like various tops, bottoms or breakouts, traps and catapults. Also, 10 new general calculation functions for counting boxes, column height or various targets are also covered by these new functions.

The next figure gives you an example of a very simple strategy. It was built by using three new functions:

• PF_Signal_DoubleTop
• PF_IsXColumn and
• PF_Signal_DoubleBottom

The long entry is triggered when there is a double top signal, while the exit can be triggered either by the profit target (based on the box-size and lot size) or a double bottom signal.

Figure 23: New Equilla functions for Point & Figure charts.

3) INDICATORS.

3.1 Buy & Hold Indicator.

The Buy & Hold indicator calculates the open equity of a theoretical Buy & Hold strategy investing the initial capital. It can be used in a chart to compare the equity of a strategy in the chart against Buy & Hold. The indicator will also generate a trading statistic for Buy & Hold which is part of any strategy performance report generated from the chart or portfolio.

Here`s how to apply the new indicator:

• First, open a chart and add a trading strategy.
• Add a position sizing module, for example “Pos Sizing – Fixed Percent”.
• Set the input PercentToInvest to 100 (because we want profits to be reinvested)
• Then, insert the Buy & Hold indicator onto the equity curve

In the properties section of the indicator, there are three inputs:

• StartingDate: Here you can choose when the Buy & Hold indicator shall start calculating the performance – at the strategy`s first entry or at the start of the date defined in the money management section
• Mode: You can select whether you would like to calculate the buy and hold performance on an absolute or percentage basis. Also, you can calculate it based on the initial capital from the money management settings.
• Capital: The calculations above depend on the amount of capital defined here.

The following figure shows the comparison of our Bollinger Band strategy (red) versus the buy and hold performance (blue). Both values are displayed in percentage terms.

Figure 24: Buy & Hold performance (blue) vs. strategy performance (red).

3.2 Value at Risk Indicator.

Among many new indicators, Tradesignal 9 now contains the VaR indicator. The value at risk (VaR) is a famous statistic which tells us which amount of capital is at risk. It represents the maximum expected loss with a certain confidence level, for example 95%.

Mathematically, this represents the 5th percentile of the underlying return distribution which is calculated based on strategy equity changes over a prior observation period. All three parameters can be set individually in the input section.

The built-in VaR indicator also contains the conditional VaR (CVaR) measure. It represents the
mean average of all strategy equity changes exceeding the VaR. In short, the CVaR tells us what the expected loss could be, if things go really bad.

The following figure shows the VaR and CVaR of a simple trading strategy. The following default parameter settings have been used for the VaR:

• Period: 1
• Observation Period: 30
• Confidence: 95

As can be seen in the subchart, the VaR equals 4,172 USD, while the CVaR equals 7,532 USD.

Figure 25: Value at Risk indicator (VaR).

3.3 Spread Indicators with volume.

Tradesignal 9 features two enhanced spread indicators, the Spread Difference V (SPDV) and Spread Quote (SPQV). These indicators visualise the spread between two parent symbols and additionally provide a volume value output that a child indicator (such as Volume or Price Volume Profile) may use to process volume data. The volume value can be configured via an input to be the Maximum, Minimum, Mean or Summation of the volumes of the two parent symbols.

Here`s an example how to make use of these indicators:

• First, open two instruments in a chart.
• Add the Spread Diff V indicator.
• Then, add the volume indicator (which serves as a child indicator).

The following figure shows:

• The S&P 500 ETF in the first subchart with the Technology ETF in the second.
• The third subchart shows the spread difference of both ETFs.
• In the fourth subchart, you can see the regular volume indicator with the exception that it now can derive information from the spread indicator in the third subchart.

In short, the settings of subchart 3 control the display of subchart 4.

Figure 26: Spread Diff V indicator with volume indicator.

This gives us several options for visualisation. You can pick between six different calculation methods in the input section of the spread indicator. For example, you can display the individual volume of the first ETF or the second (Item 1 or Item 2), the sum or the mean etc.

Figure 27: Settings for the Spread Diff V indicator.

The same can be done with the Price Volume Profile indicator (instead of the regular Volume indicator) which in this example has been dragged and dropped onto the new Spread Diff V indicator. For spread trading, these new indicators can help you in making better decisions and conveniently analyse the volume of two instruments.

Figure 28: Spread Diff V indicator with Price Volume Profile indicator.

3.4 Volume-weighted average price (VWAP) indicator.

The VWAP is the average price of a security weighted against its trading volume over a given time frame. This indicator plots the VWAP value of the parent security for its current period. The Mins input can be used to select the underlying granularity of data from which to calculate the VWAP on each bar. If you would like to calculate the VWAP on a tick basis, please enter 0 here.

The chart below shows a 10-minute chart of the S&P 500 ETF. The following settings have been used on the left:

• Period: Parent
• Mins: 1

This visualizes the VWAP for each 10-minute period, but the calculation is based on 1-minute bars. The latter setting can be controlled with the parameter Mins.

On the right side, the same chart is shown – also in 10-minute resolution. The parameters have been defined as follows:

• Period: Daily
• Mins: 1

With the change of the parameter Period to Daily, an accumulated version of VWAP is calculated and visualised for each day – a valuable tool for daytraders.

Figure 29: VWAP indicator with different settings.

4) FORMULA SYMBOLS.

In Tradesignal 9, formula symbols (formerly known as composite symbols) now behave as first-class instruments, in that they may be freely inserted, replaced, deleted, traded in the same way as exchange provided symbols*. This new behaviour also overcomes the two major limitations of the older mechanism: You can mix formula and non-formula symbols in a watchlist and update linked charts. It is also possible to apply templates to a chart containing a formula symbol.

Please note: This new behaviour will only apply when a formula symbol is newly added to a workspace. Items in existing saved workspaces (created prior to version 9.1) cannot be migrated. Formula symbols created prior to this version will appear differently in a symbol list (greyed out), and will continue to operate in the old way if used.

*Formula symbols will only support a subset of Equilla commands, specifically those that do not involve sharing (globals) or persisting data, extension interfaces and non-price output mechanisms (print, alert, etc.). The formula editor will generate an error if non-supported commands are used.

4.1 Formula Symbol Wizard – Creating Formula Symbols without Coding.

The editor for creating and editing formula symbols has been enhanced to support formula symbol templates. A drop-down menu at the top of the dialog allows you to pick from pre-existing symbol templates you would like to create a symbol from.

The following formula symbol templates have been added as standard:

• Spread Diff Template
• Spread Diff Bars Template
• Spread Quot Template
• Spread Quot Bars Template
• Spark Spread Template
• Clean Spark Spread Template
• Dark Spread Template
• Clean Dark Spread Template
• Climate Spread Template
• Crack 3-2-1 Spread Template
• Crush 1-1-1 Spread Template
• Custom Session Symbol Template

And here`s how to create a new formula symbol using a template: First, select one of your symbol lists and click on “New Symbol” and then “New Formula Symbol”. Let`s say you would like to create a Spark Spread. Using Tradesignal 9, you can pick the corresponding template to create your formula symbol with no need to program.

Figure 30: Selecting a prebuilt spread formula.

After selecting a pre-built formula symbol template, the dialog will present the fields specified in the template that has to be filled in (with symbol, currency or unit information), in order to generate the new formula symbol.

Figure 31: Picking the instruments for the spread.

BY THE WAY: A formula symbol generated from a template can be edited using the template so long as the source code does not get modified. If the source code does get modified, the dialog will only allow the source code to be edited from that point onward.

4.2 Formula Symbol Templates.

If you make use of specific formulas on a regular basis, it would be very helpful to implement your own formula symbol codes into the Template Wizard. With Tradesignal 9, you can solve this task very comfortably.

If you want to create your custom formula symbol, you have to create an indicator first which contains the information mentioned earlier. By default, indicators in the SymbolTemplate category will be hidden in the indicator sidebar. So, to show them, check the option under “File > Options > Advanced > Templates > Show formula symbol templates in the toolbox”.

Now we can start. First, we click on “New Indicator” and paste the following example code which is a simple spread between two symbols. As you can see, it contains the meta category SymbolTemplate.

After having saved this indicator, it can be found in the drop down menu of the formula symbol wizard.

Figure 32: Custom formula symbol available in the formula wizard.

5) USER INTERFACE.

5.1 Jump to trade in chart from performance report.

Analysing the performance of a trading strategy should be as comfortable and fast as possible. Tradesignal 9 makes this possible in three ways:

• If you open the trade list of the performance report, you can now right-click the relevant trade and select “view in chart” (or just double-click) and it will be highlighted in a linked chart.
• The same feature can be used in the MAE/MFE section of the performance report. Using the second option “go to source” in the MAE/MFE graph, you will be directed to the trades list where the trade is being highlighted.

In this way, you can analyse any single trade – for example outliers – very fast. The following video (without audio) shows you the “jump to trade” function in action.

5.2 Workspace-wide target cursor highlighting.

Another useful tool for quick and comfortable analysis of multiple charts at once is shown in the following video: Holding Ctrl when using the target cursor in one chart will cause all other charts in the same workspace to scroll too and highlight an appropriate date/time. So, for example, if you would like to see the detailed price action of market B and market C while market A was in a crash mode, you no longer have to scroll through every single chart.

This behaviour of this function can be configured in File –> Options –> Advanced –> Workspaces. You can define whether this functionality should be applied to all charts contained in the workspace or just to linked charts – or it should be disabled in general.

5.3 Keyboard Functions for chart handling.

Technical analysts love working with charts, so this should be as efficient and comfortable as possible. There are three small enhancements you should try now:

• For zooming in/out, please hold Ctrl and move your wheel
• For stepping through a chart bar by bar, please hold Shift
• For zooming one bar at a time, please both hold Shift and Ctrl and move the mouse wheel

5.4 Percent performance in seasonal charts.

Tradesignal enables traders, analysts and portfolio managers to analyse the seasonal behaviour of any instrument. A seasonal chart placed into percent performance mode in Tradesignal 9 will now generate the performance curve for each of the shown contracts. This way you can better analyse long data histories which have large variations in absolute terms, so looking at percentage values is a better choice.

Figure 33: New function for percentage performance.

Figure 34: Seasonal percentage performance of a futures contract.

5.5 Alert Email with Workspace Screenshot.

In Tradesignal 9, each chart, watchlist and portfolio has a new property (Properties > Chart > Alerts > Allow Email Alerts), that can be used to selectively enable or disable the forwarding of an alert to the specified email recipient. This way you could send email alerts for one instrument to recipient group A, while a second recipient group receives alerts for another instrument.
.

Figure 35: Specifying selective email recipients of alerts.

If left blank the e-mail will be sent to the default address. The default can be set at File > Options > Alerts > Email Alerts > Recipient. Alerts generated by a chart and sent via email will now contain a screenshot of the workspace at the time the alert was generated.

5.6 Publish Charts to Microsoft Office Documents.

If creating presentations or newsletters is a part of your job, you know how much time and energy this task consumes. Using Tradesignal 9, you can now delegate this job to your computer: Charts added to office documents like Power Point or Word may be automatically updated to reflect new prices and/or other changes to the charts, either by a single button press, or by setting an automatic update schedule. So, once you have set up your workspaces including charts, watchlists or scanners and activate the publishing function, you are done. Tradesignal will enrich your Office document automatically – for example before you arrive at the office.

And here`s how it works: To add a chart to an Office document, on the toolbar select File > Publish to Office > Click here to add a new office document. A wizard will be started that will allow either a new or an existing office document to be selected and opened, and charts from any open workspaces to be dragged and dropped into it.

Figure 36: Creating a new office document.

Figure 37: Selection of preferred chart elements.

To update the charts in a saved Office document, select the document under File > Publish to Office > Document and press the Update Charts button.

Figure 38: Manual update.

To set a schedule for when a document should automatically be updated, select the document under File > Publish to Office > Document, then select schedule an automatic update and enter a time and days the update should occur.

The example figure below shows the schedule set to 8:15 am on Monday, Wednesday and Fridays.

Figure 39: Automatic update schedule.

Please note, Tradesignal must be running and be connected to the appropriate data feeds for performing scheduled updates.

6) USING PYTHON IN EQUILLA.

Tradesignal 9 allows the use of Python code in Equilla scripts. Python is an universal and very popular programming language in statistics and finance. The new function opens up further possibilities for the creation of trading strategies and indicators. The embedding of Python code requires that COM extensions are allowed. The following example shows a simple example where Python code is used in Equilla. Specifically, the square root of the closing prices is calculated.

More information about Python will follow in one of the following Tradesignal How To issues.

For questions about Tradesignal we are always happy to help. If you are not yet a Tradesignal customer, we will gladly provide you with a trial version.

That’s it for today. Take care, take profit and auf Wiedersehen.